You need the knife to cut away the remains of the sprue, at least I cannot use the clippers precisely enough. And filing them away is not always possible, at least if the part is delicate enough. Also, somtimes there's "flash" (thin remnants of extra plastic from the mould) around the actual part, the knife is again the best way to scrape that away. Also, sometimes you need to scrape a little paint away. Or you want to modify a part, and a plastic saw would be too big a tool for that.
And yes, I've cut myself a couple of times, but not too deep, nothing that a band-aid wouldn't handle. Rule of thumb is to always cut away from yourself or against the table.